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Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates

Chen, Xiaohong; Fan, Yanqin; Patton, Andrew J. - London School of Economics (LSE) - 2004

stationary time series and for standardized innovations of GARCH models. A simulation study demonstrates the efficacy of both …

Persistent link: https://www.econbiz.de/10010746302

Contemporaneous aggregation of GARCH processes

Zaffaroni, Paolo - London School of Economics (LSE) - 2000

We study the impact of large cross-sections of contemporaneous aggregation of GARCH processes and of dynamic GARCH … factor models. The results crucially depend on the shape of the cross-sectional distribution of the GARCH coefficients and on … conditions, this is simply not fully diversifiable in arbitrary large portfolios. Non-GARCH memory properties arise at the …

Persistent link: https://www.econbiz.de/10010746556

Least absolute deviations estimation for ARCH and GARCH models

Peng, Liang; Yao, Qiwei - London School of Economics (LSE) - 2003

Hall & Yao (2003) showed that, for ARCH/GARCH, i.e. autoregressive conditional heteroscedastic …

Persistent link: https://www.econbiz.de/10011126223

Estimating GARCH models: when to use what?

Huang, Da; Wang, Hansheng; Yao, Qiwei - London School of Economics (LSE) - 2008

The class of generalized autoregressive conditional heteroscedastic (GARCH) models has proved particularly valuable in … for GARCH models only, the basic idea may be applied to address the estimation procedure selection problem in a general …

Persistent link: https://www.econbiz.de/10011126440

Regime switching in volatilities and correlation between stock and bond markets

Chen, Runquan - London School of Economics (LSE) - 2009

GARCH model. We extend the univariate Markov-Switching GARCH of Haas, Mittnik and Paolella (2004) into a bivariate Markov …-switching GARCH model with Conditional Constant Correlation (CCC) speci…cation within each regime, though the correlation may change …

Persistent link: https://www.econbiz.de/10011071166

Quantile regression in lower bound estimation

Giorgetti, Maria Letizia - London School of Economics (LSE) - 2001

In this paper, I illustrate the additional information that can be prodivided in estimating the lower bound (Sutton 1991, 1998) by using quantile regression. Quantile regression allows us to invesigate the influence of outliers. Previous lower bound have been performed using the simplex method....

Persistent link: https://www.econbiz.de/10010928688

Union density and varieties of coverage: the anatomy of union wage effects in Germany

Fitzenberger, Bernd; Kohn, Karsten; Lembcke, Alexander - London School of Economics (LSE) - 2008

Collective bargaining in Germany takes place either at the industry level or at the firm level; collective bargaining coverage is much higher than union density; and not all employees in a covered firm are necessarily covered. This institutional setup suggests to distinguish explicitly union...

Persistent link: https://www.econbiz.de/10010928810

Skills and Wage Inequality in Greece: Evidence from Matched Employer-Employee Data, 1995-2002

Christopoulou, Rebekka; Kosma, Theodora - London School of Economics (LSE) - 2009

This paper examines changes in the Greek wage distribution over 1995-2002 and the role of skill in these changes. The methodology adopted is the Machado-Mata counterfactual decomposition, which separates the part of wage changes that is due to job and workers' characteristics (composition...

Persistent link: https://www.econbiz.de/10005016301

Skills and wage inequality in Greece: evidence from matched employer-employee data, 1995-2002

Christopoulou, Rebekka; Kosma, Theodora - London School of Economics (LSE) - 2009

Persistent link: https://www.econbiz.de/10010745541

Private investment and political uncertainty

Stasavage, David - London School of Economics (LSE) - 2000

Recent theoretical and empirical work has demonstrated a clear negative link between macroeconomic and political uncertainty and levels of private investment across countries. This result raises the question what institutions might help reduce this uncertainty, in particular by allowing host...

Persistent link: https://www.econbiz.de/10010745744